6 papers
Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift
Mathis Fitoussi, Elena Issoglio, Stéphane Menozzi
We are interested in the Euler-Maruyama dicretization of the formal SDE, , where is a symmetric isotropic d dimensional stable process of index $α\in (1,…
A non-local singular non-linear Fokker-Planck PDE
Luca Bondi, Elena Issoglio, Francesco Russo
The focus of this paper is a non-local singular non-linear Fokker-Planck partial differential equation (PDE). The peculiarity of this PDE feature is in its divergence coefficient,…
Degenerate McKean-Vlasov equations with drift in anisotropic negative Besov spaces
Elena Issoglio, Stefano Pagliarani, Francesco Russo +1
The paper is concerned with a McKean-Vlasov type SDE with drift in anisotropic Besov spaces with negative regularity and with degenerate diffusion matrix under the weak H{ö}rmande…
An Euler scheme for McKean SDEs with Besov drift: convergence rate and implementation
Luis Mario Chaparro Jaquez, Elena Issoglio, Jan Palczewski
We study a one-dimensional McKean-Vlasov stochastic differential equation (SDE) with a drift equal to a product of a distribution depending on the state of the process and a non-li…
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Luis Mario Chaparro Jáquez, Elena Issoglio, Jan Palczewski
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Hölder-Zygmund space …
McKean-Vlasov equations with singular coefficients - a review of recent results
Luca Bondi, Elena Issoglio, Francesco Russo
This paper focuses on recent works on McKean-Vlasov stochastic differential equations (SDEs) involving singular coefficients. After recalling the classical framework, we review exi…